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Details about Angelos Kanas

Workplace:Department of Economics, University of Piraeus, (more information at EDIRC)
Parliamentary Budget Office, Hellenic Parliament, Government of Greece, (more information at EDIRC)

Access statistics for papers by Angelos Kanas.

Last updated 2020-10-01. Update your information in the RePEc Author Service.

Short-id: pka1239


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Working Papers

2019

  1. Hedge fund activism, voice, and value creation
    MPRA Paper, University Library of Munich, Germany Downloads

2010

  1. Regime Dependence between the Official and Parallel Foreign Currency Markets for US Dollars in Greece
    EcoMod2004, EcoMod Downloads
    See also Journal Article in Journal of Macroeconomics (2007)

2008

  1. Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US
    Working Papers, University of Crete, Department of Economics Downloads
    See also Journal Article in Panoeconomicus (2010)

2004

  1. HOW BANKING SYSTEM IN POST-SOVIET ECONOMIES ASSIST TO THEIR DEVELOPMENT. THE CASE STUDY OF ARMENIA
    Econometrics, University Library of Munich, Germany Downloads

2001

  1. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
    Working Papers, University of Crete, Department of Economics Downloads View citations (1)
    See also Journal Article in International Review of Economics & Finance (2005)

Undated

  1. Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests
    Working Papers, University of Crete, Department of Economics View citations (59)
    See also Journal Article in Applied Financial Economics (1998)
  2. Mean and Variance Causality of Black and Official Exchange Rates: Evidence from four Latin American Countries
    Working Papers, University of Crete, Department of Economics
  3. Testing for Nonlinear Granger Causality from fundamentals to Exchange Rates in ERM
    Working Papers, University of Crete, Department of Economics
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2000)
  4. Volatility Spillovers between the Black and Official Market for foreign Currency in Greece
    Working Papers, University of Crete, Department of Economics View citations (2)

Journal Articles

2020

  1. Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value
    European Journal of Operational Research, 2020, 283, (2), 748-766 Downloads
  2. Systemic risk-shifting in U.S. commercial banking
    Review of Quantitative Finance and Accounting, 2020, 54, (2), 517-539 Downloads

2019

  1. A multi-parametric method for bias correction of DEA efficiency estimators
    Journal of the Operational Research Society, 2019, 70, (4), 655-674 Downloads View citations (1)
  2. Bank competition, stability, and intervention quality
    International Journal of Finance & Economics, 2019, 24, (1), 568-587 Downloads
  3. Semi-parametric real exchange rates dynamics
    Review of Quantitative Finance and Accounting, 2019, 52, (2), 643-656 Downloads

2018

  1. Macro stress testing the U.S. banking system
    Journal of International Financial Markets, Institutions and Money, 2018, 54, (C), 204-227 Downloads View citations (1)
  2. Public policy and financial stability: The impact of PCA and TARP on U.S. bank non‐performing loans
    International Journal of Finance & Economics, 2018, 23, (4), 376-392 Downloads View citations (1)

2017

  1. Equity flows, stock returns and exchange rates
    International Journal of Finance & Economics, 2017, 22, (2), 159-168 Downloads View citations (1)

2016

  1. Causality in EU macroeconomic variables
    Applied Economics Letters, 2016, 23, (4), 264-277 Downloads

2015

  1. Dividend policy, managerial ownership and debt financing: A non-parametric perspective
    European Journal of Operational Research, 2015, 241, (3), 783-795 Downloads View citations (4)
  2. Information revelation in the Greek exchange opening call: Daily and intraday evidence
    Journal of International Financial Markets, Institutions and Money, 2015, 38, (C), 167-184 Downloads View citations (1)

2014

  1. BANK DIVIDENDS, REAL GDP GROWTH AND DEFAULT RISK
    International Journal of Finance & Economics, 2014, 19, (3), 212-224 Downloads View citations (1)
  2. Bond futures, inflation-indexed bonds, and inflation risk premium
    Journal of International Financial Markets, Institutions and Money, 2014, 28, (C), 82-99 Downloads View citations (2)
  3. Default risk and equity prices in the U.S. banking sector: Regime switching effects of regulatory changes
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 244-258 Downloads View citations (1)
  4. The impact of prompt corrective action on the default risk of the U.S. commercial banking sector
    Review of Quantitative Finance and Accounting, 2014, 43, (2), 393-404 Downloads
  5. Uncovering a positive risk-return relation: the role of implied volatility index
    Review of Quantitative Finance and Accounting, 2014, 42, (1), 159-170 Downloads View citations (1)

2013

  1. Bank dividends, risk, and regulatory regimes
    Journal of Banking & Finance, 2013, 37, (1), 1-10 Downloads View citations (15)
  2. IMPLIED VOLATILITY AND THE RISK‐RETURN RELATION: A NOTE
    International Journal of Finance & Economics, 2013, 18, (2), 159-164
  3. The risk-return relation and VIX: evidence from the S&P 500
    Empirical Economics, 2013, 44, (3), 1291-1314 Downloads View citations (3)
  4. U.S. prompt corrective action and bank risk
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 239-257 Downloads View citations (4)

2012

  1. Modelling the risk–return relation for the S&P 100: The role of VIX
    Economic Modelling, 2012, 29, (3), 795-809 Downloads View citations (7)
  2. Revisiting bank profitability: A semi-parametric approach
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (4), 990-1005 Downloads View citations (9)
  3. Revisiting the forward—spot relation: an application of the nonparametric long-run correlation coefficient
    Journal of Economics and Finance, 2012, 36, (1), 148-161 Downloads

2010

  1. A note on the relation between the equity risk premium and the term structure
    Journal of Economics and Finance, 2010, 34, (1), 89-95 Downloads
  2. Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US
    Panoeconomicus, 2010, 57, (4), 429-445 Downloads View citations (6)
    See also Working Paper (2008)
  3. Causality from real stock returns to real activity: evidence of regime-dependence
    International Journal of Finance & Economics, 2010, 15, (2), 180-197 Downloads View citations (4)

2009

  1. Real exchange rate, stationarity, and economic fundamentals
    Journal of Economics and Finance, 2009, 33, (4), 393-409 Downloads View citations (3)
  2. Real exchange rates and developing countries
    International Journal of Finance & Economics, 2009, 14, (3), 280-299 Downloads View citations (1)
  3. Regime switching in stock index and futures markets: a note on the NIKKEI evidence
    International Journal of Finance & Economics, 2009, 14, (4), 394-399 Downloads
  4. The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006
    Journal of Economics and Finance, 2009, 33, (2), 111-127 Downloads

2008

  1. A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (07), 657-671 Downloads
  2. Modeling regime transition in stock index futures markets and forecasting implications
    Journal of Forecasting, 2008, 27, (8), 649-669 Downloads View citations (2)
  3. On real interest rate dynamics and regime switching
    Journal of Banking & Finance, 2008, 32, (10), 2089-2098 Downloads View citations (11)
  4. Overview of the special issue on Euro area expansion: Current state and future prospects
    Journal of International Money and Finance, 2008, 27, (2), 165-168 Downloads

2007

  1. Regime dependence between the official and parallel foreign currency markets for US dollars in Greece
    Journal of Macroeconomics, 2007, 29, (2), 431-449 Downloads View citations (7)
    See also Working Paper (2010)
  2. Stock Market and the Macroeconomy: A Regime Switching Approach
    Economia Internazionale / International Economics, 2007, 60, (2), 181-206 Downloads

2006

  1. Purchasing Power Parity and Markov Regime Switching
    Journal of Money, Credit and Banking, 2006, 38, (6), 1669-1687 Downloads View citations (27)

2005

  1. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
    International Review of Economics & Finance, 2005, 14, (2), 181-201 Downloads View citations (8)
    See also Working Paper (2001)
  2. MODELLING THE US/UK REAL EXCHANGE RATE–REAL INTEREST RATE DIFFERENTIAL RELATION: A MULTIVARIATE REGIME SWITCHING APPROACH
    Manchester School, 2005, 73, (2), 123-140 Downloads View citations (2)
  3. Nonlinearity in the stock price-dividend relation
    Journal of International Money and Finance, 2005, 24, (4), 583-606 Downloads View citations (25)
  4. Pure Contagion Effects in International Banking: The Case of BCCI´s Failure
    Journal of Applied Economics, 2005, 08, (1), 23 Downloads View citations (2)
    Also in Journal of Applied Economics, 2005, 8, 101-123 (2005) Downloads View citations (4)
  5. Real interest rates linkages between the USA and the UK in the postwar period
    International Journal of Finance & Economics, 2005, 10, (3), 251-262 Downloads View citations (2)
  6. Real or monetary? The US/UK real exchange rate, 1921-2002
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (1), 21-38 Downloads View citations (5)
  7. Regime (non)stationarity in the US/UK real exchange rate
    Economics Letters, 2005, 87, (3), 407-413 Downloads View citations (33)
  8. Regime linkages between the Mexican currency market and emerging equity markets
    Economic Modelling, 2005, 22, (1), 109-125 Downloads View citations (15)
  9. Regime linkages in the US/UK real exchange rate-real interest differential relation
    Journal of International Money and Finance, 2005, 24, (2), 257-274 Downloads View citations (6)

2004

  1. Contagion in banking due to BCCI's failure: evidence from national equity indices
    International Journal of Finance & Economics, 2004, 9, (3), 245-255 Downloads View citations (4)
  2. Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting
    Journal of Forecasting, 2004, 23, (4), 237-250 Downloads View citations (3)
  3. Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios
    Empirical Economics, 2004, 29, (3), 575-592 Downloads View citations (1)
  4. TESTING FOR "PURE" CONTAGION EFFECTS IN INTERNATIONAL BANKING: THE CASE OF BCCI'S FAILURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (03), 289-301 Downloads

2003

  1. Non-linear cointegration between stock prices and dividends
    Applied Economics Letters, 2003, 10, (7), 401-405 Downloads View citations (8)
  2. Non-linear forecasts of stock returns
    Journal of Forecasting, 2003, 22, (4), 299-315 Downloads View citations (11)

2002

  1. Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries
    The Financial Review, 2002, 37, (2), 137-163 Downloads View citations (17)
  2. Mean and variance spillovers among size-sorted UK equity portfolios
    Applied Economics Letters, 2002, 9, (5), 319-323 Downloads View citations (1)

2001

  1. Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece
    International Journal of Finance & Economics, 2001, 6, (1), 13-25 Downloads View citations (7)
  2. Comparing linear and nonlinear forecasts for stock returns
    International Review of Economics & Finance, 2001, 10, (4), 383-398 Downloads View citations (13)
  3. Hedging Exchange Rate Economic Exposure: Real Options Or Currency Options?
    Economia Internazionale / International Economics, 2001, 54, (1), 1-14
  4. Neural Network Linear Forecasts for Stock Returns
    International Journal of Finance & Economics, 2001, 6, (3), 245-54 Downloads View citations (14)
  5. VOLATILITY SPILLOVERS BETWEEN THE BLACK MARKET AND OFFICIAL MARKET FOR FOREIGN CURRENCY IN GREECE
    Journal of Financial Research, 2001, 24, (3), 443-461 Downloads View citations (3)

2000

  1. Exchange Rate Economic Exposure under Collusive Pricing and Hedging Using Asian Currency Options
    Economia Internazionale / International Economics, 2000, 53, (1), 53-67 View citations (2)
  2. Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM
    Journal of International Money and Finance, 2000, 19, (1), 135-152 Downloads View citations (49)
  3. Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (1), 69-82 Downloads View citations (17)
    See also Working Paper
  4. Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence
    Journal of Business Finance & Accounting, 2000, 27, (3‐4), 447-467 Downloads View citations (10)

1999

  1. A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market
    Applied Economics Letters, 1999, 6, (1), 49-53 Downloads View citations (11)

1998

  1. Linkages between the US and European equity markets: further evidence from cointegration tests
    Applied Financial Economics, 1998, 8, (6), 607-614 Downloads View citations (61)
    See also Working Paper
  2. Long-run benefits from international equity diversification: a note on the Canadian evidence
    Applied Economics Letters, 1998, 5, (10), 659-663 Downloads View citations (8)
  3. Testing for a unit root in ERM exchange rates in the presence of structural breaks: evidence from the bootstrap
    Applied Economics Letters, 1998, 5, (7), 407-410 Downloads View citations (9)
  4. Volatility spillovers across equity markets: European evidence
    Applied Financial Economics, 1998, 8, (3), 245-256 Downloads View citations (60)

1997

  1. Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis
    Journal of Multinational Financial Management, 1997, 7, (1), 27-42 Downloads View citations (17)
  2. Nonlinear dependence in British pound exchange rates
    Applied Economics Letters, 1997, 4, (10), 631-633 Downloads View citations (1)
  3. The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis
    Applied Financial Economics, 1997, 7, (6), 587-598 Downloads View citations (5)

Chapters

2001

  1. NEURAL NETWORK VS LINEAR MODELS OF STOCK RETURNS: AN APPLICATION TO THE UK AND GERMAN STOCK MARKET INDICES
    Chapter 12 in Fuzzy Sets In Management, Economics And Marketing, 2001, pp 181-193 Downloads
 
Page updated 2020-10-20